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Political uncertainty and sentiment: evidence from the impact of Brexit on financial markets

Hudson, R., Urquhart, A. and Zhang, H. (2020) Political uncertainty and sentiment: evidence from the impact of Brexit on financial markets. European Economic Review, 129. 103523. ISSN 0014-2921

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To link to this item DOI: 10.1016/j.euroecorev.2020.103523

Abstract/Summary

This paper investigates whether the impact of Brexit on financial markets is consistent with rational asset pricing models using 34 financial indices. Our results indicate that, whilst Brexit events affect both the risk and returns of stocks, the returns on event days are largely justified by the risk and the risk premium on those days. Our results support the appropriateness of rational asset pricing models even in a period of such high political uncertainty and potentially raised sentiment.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:91629
Publisher:Elsevier

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